The cstdlib header contains the definition for the exit function as csurfer said, however up until recently this header was generally included by dependency - often unnecessarily - by other headers. So you are likely to see tutorials and books that rely on this - and other - header dependencies that have now been cleaned up.

For example you may just #include <iostream> to use the exit function in gcc 3.4 because iostream includes cstdlib however in gcc 4.3 this dependency has been removed so you need to #include <cstdlib> to utilise it.